Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0099 |
| Annualized Std Dev | 0.2514 |
| Annualized Sharpe (Rf=0%) | 0.0394 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4589.0000 |
| NAs | 1.0000 |
| Minimum | -0.2073 |
| Quartile 1 | -0.0043 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0056 |
| Maximum | 0.2500 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0158 |
| Skewness | -0.2359 |
| Kurtosis | 35.8050 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6969 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0396 |
| Modified VaR (95%) | -0.0155 |
| Modified ES (95%) | -0.0155 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-09-20 | 2009-03-09 | 2010-11-08 | -0.6969 | 1042 | 620 | 422 |
| 2013-05-09 | 2020-03-18 | NA | -0.5276 | 1981 | 1727 | NA |
| 2011-03-28 | 2011-10-04 | 2013-02-08 | -0.2846 | 471 | 133 | 338 |
| 2004-01-14 | 2004-05-10 | 2004-12-22 | -0.1723 | 238 | 81 | 157 |
| 2004-12-28 | 2005-03-28 | 2006-09-18 | -0.1623 | 435 | 62 | 373 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0.1 |
| 2003 | 0.6 | 0.6 | 1 | 0.7 | 0.1 | 0.7 | 0.5 | 0.1 | 0.5 | 0.3 | -0.8 | 0.6 | 5 |
| 2004 | 0.2 | 1.3 | 0.3 | 0.4 | -0.9 | 0.7 | 0.4 | 0.3 | 0.6 | 0.6 | 0.4 | 0.7 | 5.3 |
| 2005 | 0.6 | 0.5 | 0.5 | -0.2 | -0.1 | 0.4 | 0.2 | 0.1 | 0.7 | -0.9 | 0.4 | -0.2 | 1.9 |
| 2006 | -0.2 | 0.4 | -0.3 | 0.1 | 0.4 | 0.2 | 0.6 | 0.1 | 0.1 | 0.1 | 0.6 | -0.2 | 1.7 |
| 2007 | -0.1 | 1 | 0.4 | -0.1 | 0.2 | 0.7 | -2 | 0.8 | 0.1 | -0.6 | 2.1 | 1.5 | 4.1 |
| 2008 | 1.2 | -2.5 | 0.1 | 0.8 | -0.9 | 0.1 | 2.1 | -0.3 | 4 | 2 | -0.3 | 0.7 | 7.1 |
| 2009 | 5.4 | 4 | 1.1 | 2.4 | 0.2 | 2.7 | 0.7 | -0.5 | -1 | -1.5 | 0.8 | -0.6 | 14.4 |
| 2010 | 4.7 | 0.7 | -0.2 | -0.4 | 0.6 | 0.9 | -0.3 | 0.4 | 0.4 | 0.6 | -0.3 | 0.6 | 7.8 |
| 2011 | 1.4 | -0.9 | -5.2 | -0.3 | 0.1 | 0 | 2.6 | -1.1 | -0.7 | -1.2 | 0.3 | 0.6 | -4.4 |
| 2012 | 0.4 | 0.7 | -0.2 | -0.1 | -0.9 | -0.1 | 1.4 | -0.5 | 0.7 | 0.7 | -0.4 | -0.5 | 1.2 |
| 2013 | 0.5 | 0.4 | 0.2 | 0.6 | -2.5 | -2.5 | -2 | -0.2 | 0 | 0.5 | 0.8 | -0.4 | -4.4 |
| 2014 | 0.6 | -0.5 | 0 | 0.6 | 0.4 | 0.7 | 0.7 | 0.3 | 0.9 | 0.6 | -0.3 | -3.8 | 0.2 |
| 2015 | 0.6 | 1.6 | 0.6 | 0.5 | 1.2 | 0.4 | -0.3 | 0.4 | -1.5 | 0.1 | 0.4 | 0.9 | 5.1 |
| 2016 | 0.9 | 0.8 | 0.4 | -0.2 | 0 | 0.4 | -0.3 | 0.3 | -0.5 | 0.1 | 0.1 | 0 | 2 |
| 2017 | 0.9 | -0.3 | 0.3 | 0.2 | 0.2 | 0.1 | -2.1 | -0.1 | 0.2 | 0.1 | 0.1 | 0.6 | 0 |
| 2018 | 0.2 | -0.5 | 0.1 | 0.3 | 0.7 | 1.7 | 0.1 | 0.2 | 0.4 | 0.8 | -0.3 | -1.7 | 1.9 |
| 2019 | 0.4 | 0.5 | 0.7 | -0.4 | 0.6 | 0.6 | 0.2 | 0.2 | 0.1 | 0.2 | 0.3 | 0.4 | 3.8 |
| 2020 | -0.1 | -4.5 | -6.4 | -1.1 | 0.1 | -0.4 | 0.1 | 0.4 | 0.3 | -1.4 | 1.3 | 0.2 | -11.1 |
| 2021 | -0.6 | 0.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
